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A note on the Flesaker-Hughston model of the term structure of interest rates

A note on the Flesaker-Hughston model of the term structure of interest rates A term structure model proposed by Flesaker and Hughston (1996a,b) is analysed within the general framework of arbitrage-free term structure modelling. Basic valuation formulae for caps and swaptions are presented. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematical Finance Taylor & Francis

A note on the Flesaker-Hughston model of the term structure of interest rates

Rutkowski, Marek
Applied Mathematical Finance , Volume 4 (3): 13 – Sep 1, 1997
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13 pages

A note on the Flesaker-Hughston model of the term structure of interest rates

Abstract

A term structure model proposed by Flesaker and Hughston (1996a,b) is analysed within the general framework of arbitrage-free term structure modelling. Basic valuation formulae for caps and swaptions are presented.
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Publisher
Taylor & Francis
Copyright
Copyright Taylor & Francis Group, LLC
ISSN
1466-4313
eISSN
1350-486X
DOI
10.1080/135048697334782
Publisher site
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Abstract

A term structure model proposed by Flesaker and Hughston (1996a,b) is analysed within the general framework of arbitrage-free term structure modelling. Basic valuation formulae for caps and swaptions are presented.

Journal

Applied Mathematical Finance – Taylor & Francis

Published: Sep 1, 1997

Keywords: Swaption; Term Structure Of Interest Rates; Zero-coupon Bond

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